Problem 4. Suppose that the stock price X+ is the solution to dX4 = uXidt+oX[dB where X, is the initial price of the stock. Suppose that you have an European call option (associated with this stock) with a strike price K and a maturity (expiry) time T. Derive the Black-Scholes formula computing the fair price of this European call option. (We did this in class. I want to make sure that you can derive it on your own. The formula should be expressed in terms of the function (z) = a vze=udy) = 2 Problem 4. Suppose that the stock price X+ is the solution to dX4 = uXidt+oX[dB where X, is the initial price of the stock. Suppose that you have an European call option (associated with this stock) with a strike price K and a maturity (expiry) time T. Derive the Black-Scholes formula computing the fair price of this European call option. (We did this in class. I want to make sure that you can derive it on your own. The formula should be expressed in terms of the function (z) = a vze=udy) = 2